Because they are goddesses and those forms are their true forms, sort of like how the Olympian gods took different forms to be viewed by mortals. They only took the forms they take in the show as a way to better interact with their subjects. And I sort of had a long story in mind that hundreds of thousands of years ago ponies used to look more anthro before they decided to take a different form to avoid the same war-like mistakes from thousands of years ago.